12
H index
13
i10 index
507
Citations
Marcus J. Chambers : Citation Profile
University of Essex | RESEARCH PRODUCTION: 46 Articles 31 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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30 years (1990 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Marcus J. Chambers. | Is cited by:
| Cites to:
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Main data
Where Marcus J. Chambers has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 11 |
| Journal of Time Series Analysis | 8 |
| Econometric Theory | 8 |
| Econometrics | 2 |
| Journal of Economic Dynamics and Control | 2 |
| Economics Letters | 2 |
| International Economic Review | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Essex Finance Centre Working Papers / University of Essex, Essex Business School | 2 |
Recent works citing Marcus J. Chambers (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Interest Rate Dynamics and Commodity Prices. (2024). Gouel, Christophe ; Ma, Qingyin ; Stachurski, John. In: Papers. RePEc:arx:papers:2308.07577. Full description at Econpapers || Download paper |
| 2024 | Testing for a Forecast Accuracy Breakdown under Long Memory. (2024). Sibbertsen, Philipp ; Kreye, Jannik. In: Papers. RePEc:arx:papers:2409.07087. Full description at Econpapers || Download paper |
| 2024 | A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots. (2024). Andric, Vladimir ; Nenadovic, Sanja. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:660-668. Full description at Econpapers || Download paper |
| 2025 | When Did Growth Begin? New Estimates of Productivity Growth in England from 1250 to 1870. (2025). Bouscasse, Paul ; Nakamura, Emi ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt6821m6jp. Full description at Econpapers || Download paper |
| 2024 | Mixed-frequency data Sampling Grey system Model: Forecasting annual CO2 emissions in China with quarterly and monthly economic-energy indicators. (2024). An, Yimeng ; Dang, Yaoguo ; Mai, Son T ; Wang, Junjie ; Zhou, Huimin. In: Applied Energy. RePEc:eee:appene:v:370:y:2024:i:c:s0306261924009140. Full description at Econpapers || Download paper |
| 2024 | The effect of output and the real exchange rate on equity price dynamics. (2024). Malikane, Christopher ; Alovokpinhou, Sedjro Aaron. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000718. Full description at Econpapers || Download paper |
| 2024 | On model selection criteria for climate change impact studies. (2024). Cui, Xiaomeng ; Kuffner, Todd ; Ghanem, Dalia ; Gafarov, Bulat. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002270. Full description at Econpapers || Download paper |
| 2024 | Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach. (2024). Su, Liangjun ; Phillips, Peter ; Ke, Shuyao. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001076. Full description at Econpapers || Download paper |
| 2024 | Estimation of continuous-time linear DSGE models from discrete-time measurements. (2024). Parra-Alvarez, Juan ; Christensen, Bent Jesper ; Neri, Luca. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624002161. Full description at Econpapers || Download paper |
| 2024 | Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energy. (2024). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005280. Full description at Econpapers || Download paper |
| 2025 | Advanced time series forecasting for commodities: Insights from the FEDformer model. (2025). Ge, Lei ; Huang, Qiwei ; Zhu, Fengshuang ; Chen, Shun. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325003378. Full description at Econpapers || Download paper |
| 2024 | Can a boost in oil prices suspend the evolution of the green transportation market? Relationships between green indices and Brent oil. (2024). Kliber, Agata ; Eza, Pavel. In: Energy. RePEc:eee:energy:v:295:y:2024:i:c:s0360544224008090. Full description at Econpapers || Download paper |
| 2025 | Return connectedness between energy commodities and stock markets: New evidence from 31 energy sector companies in Europe. (2025). Kliber, Agata ; Echaust, Krzysztof ; Just, Magorzata. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925001814. Full description at Econpapers || Download paper |
| 2025 | Modeling GDP with a continuous-time finance approach. (2025). Liu, Zhenya ; You, Rongyu ; Zhan, Yaosong. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002351. Full description at Econpapers || Download paper |
| 2024 | Caselaw and Englands economic performance during the Industrial Revolution: Data and evidence. (2024). Murrell, Peter ; Grajzl, Peter. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:52:y:2024:i:1:p:145-165. Full description at Econpapers || Download paper |
| 2024 | Interest rate dynamics and commodity prices. (2024). Ma, Qingyin ; Gouel, Christophe ; Stachurski, John. In: Journal of Economic Theory. RePEc:eee:jetheo:v:222:y:2024:i:c:s0022053124001212. Full description at Econpapers || Download paper |
| 2024 | Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methods. (2024). Guo, Yaoqi ; Liu, Yanqiong ; Wei, Qing. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000072. Full description at Econpapers || Download paper |
| 2025 | Natural disaster shocks and commodity market volatility: A machine learning approach. (2025). Samitas, Aristeidis ; Mertzanis, Charilaos ; Kampouris, Ilias. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003706. Full description at Econpapers || Download paper |
| 2025 | Asymptotics for irregularly observed long memory processes. (2025). Philippe, Anne ; Haye, Mohamedou Ould. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:185:y:2025:i:c:s0304414925000729. Full description at Econpapers || Download paper |
| 2025 | The Effect of Aggregation on Seasonal Cointegration in Mixed Frequency data. (2025). del Barrio Castro, Tomás ; Bauer, Dietmar. In: MPRA Paper. RePEc:pra:mprapa:126066. Full description at Econpapers || Download paper |
| 2024 | Dynamic modelling of consumption patterns using LA-AIDS: a comparative study of developed versus developing countries. (2024). Rathnayaka, Shashika ; Jayasinghe, Maneka ; Selvanathan, Eliyathamby A. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:1:d:10.1007_s00181-023-02465-z. Full description at Econpapers || Download paper |
| 2024 | Persistence in Tax Revenues: Evidence from Some OECD Countries. (2024). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tapia, Silvia Garcia. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:22:y:2024:i:2:d:10.1007_s40953-024-00386-x. Full description at Econpapers || Download paper |
| 2024 | Inference for continuous-time long memory randomly sampled processes. (2024). Haye, Mohamedou Ould ; Robet, Caroline ; Philippe, Anne. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01515-z. Full description at Econpapers || Download paper |
| 2024 | Integrated Variance Estimation for Assets Traded in Multiple Venues. (2024). Schweiker, Karsten ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-04. Full description at Econpapers || Download paper |
| 2024 | A Unified Theory for Arma Models with Varying Coefficients: One Solution Fits All.. (2024). Canepa, Alessandra ; Karanasos, Menelaos ; Magdalinos, Anastasios ; Paraskevopoulos, Alexandros. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202413. Full description at Econpapers || Download paper |
| 2025 | The role of storage in commodity markets: Indirect inference based on grain data. (2025). Legrand, Nicolas ; Gouel, Christophe. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:2:p:705-747. Full description at Econpapers || Download paper |
Works by Marcus J. Chambers:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1999 | A Statistical Analysis of Wheat Price Fluctuations in England: 1685–1850 In: Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 1 |
| 1993 | Long‐Term Demographic Interactions in Precensus England In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 12 |
| 1999 | A Note on Modelling Seasonal Processes in Continuous Time In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2013 | Continuous-time autoregressive moving average processes in discrete time: representation and embeddability In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2015 | The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2013 | The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending.(2013) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2016 | Unobserved Components and Time Series Econometrics , edited by Siem Jan Koopman and Neil Shephard . Published by Oxford University Press , Oxford , 2015 . Total number of pages: 400. ISBN: 978-0-19-968366-6 In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2019 | Econometric Modelling with Mixed Frequency and Temporally Aggregated Data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2019 | Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2020 | Deterministic Parameter Change Models in Continuous and Discrete Time In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2019 | Deterministic Parameter Change Models in Continuous and Discrete Time.(2019) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 1996 | The Estimation of Continuous Parameter Long-Memory Time Series Models In: Econometric Theory. [Full Text][Citation analysis] | article | 17 |
| 2001 | TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2002 | MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK In: Econometric Theory. [Full Text][Citation analysis] | article | 8 |
| 2003 | THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION In: Econometric Theory. [Full Text][Citation analysis] | article | 12 |
| 2006 | ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
| 2009 | DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA In: Econometric Theory. [Full Text][Citation analysis] | article | 5 |
| 2012 | DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES In: Econometric Theory. [Full Text][Citation analysis] | article | 5 |
| 1991 | Discrete Models for Estimating General Linear Continuous Time Systems In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
| 2011 | Cointegration and sampling frequency In: Econometrics Journal. [Citation analysis] | article | 16 |
| 2001 | Cointegration and Sampling Frequency.(2001) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 1999 | Discrete time representation of stationary and non-stationary continuous time systems In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
| 2017 | Continuous time ARMA processes: Discrete time representation and likelihood evaluation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 11 |
| 2016 | Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation..(2016) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 1996 | Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2005 | The purchasing power parity puzzle, temporal aggregation, and half-life estimation In: Economics Letters. [Full Text][Citation analysis] | article | 8 |
| 2004 | Testing for unit roots with flow data and varying sampling frequency In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2008 | Corrigendum to: Testing for unit roots with flow data and varying sampling frequency [J. Econom. 119 (1) (2004) 1-18].(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2001 | Testing for Unit Roots with Flow Data and Varying Sampling Frequency.(2001) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2006 | Granger causality and the sampling of economic processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2004 | Granger Causality and the Sampling of Economic Processes.(2004) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2004 | Granger Causality and the Sampling of Economic Processes.(2004) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2007 | Frequency domain estimation of temporally aggregated Gaussian cointegrated systems In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2013 | Jackknife estimation of stationary autoregressive models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2010 | Jackknife Estimation of Stationary Autoregressive Models.(2010) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2014 | Testing for seasonal unit roots by frequency domain regression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2010 | Testing for seasonal unit roots by frequency domain regression.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | The estimation of continuous time models with mixed frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2016 | The Estimation of Continuous Time Models with Mixed Frequency Data.(2016) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2020 | Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2018 | Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data.(2018) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 1990 | Forecasting with demand systems : A comparative study In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 1993 | A nonnested approach to testing continuous time models against discrete alternatives In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1998 | The estimation of systems of joint differential-difference equations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 1995 | The Estimation of Systems of Joint Differential-Difference Equations.(1995) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | The exact discretisation of CARMA models with applications in finance In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
| 2015 | Monetary policy, exchange rates and stock prices in the Middle East region In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 13 |
| 2013 | Jackknife estimation with a unit root In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 3 |
| 2013 | Temporal aggregation in macroeconomics In: Chapters. [Full Text][Citation analysis] | chapter | 2 |
| 1994 | Forecasting with the Almost Ideal Demand System. In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1994 | Forecasting with the Almost Ideal Demand System..(1994) In: Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Jackknife Bias Reduction in the Presence of a Near-Unit Root In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Jackknife Bias Reduction in the Presence of a Near-Unit Root.(2018) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2017 | Continuous Time Modelling Based on an Exact Discrete Time Representation In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Continuous Time Modelling Based on an Exact Discrete Time Representation.(2018) In: Springer Books. [Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 1998 | Gaussian estimation of temporally aggregated cointegrated systems In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Seasonality in Continuous Time Models In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Long Memory and Aggregation in Macroeconomic Time Series In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 115 |
| 1998 | Long Memory and Aggregation in Macroeconomic Time Series..(1998) In: International Economic Review. [Citation analysis] This paper has nother version. Agregated cites: 115 | article | |
| 1998 | Temporal aggregation and the asymptotic variance of optimal estimators in cointegrated systems In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1993 | Short-term demographic interactions in pre-census England: A stochastic differential equations approach In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1995 | The Price of Wheat in Early Modern England In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1994 | A Theory of Commodity Price Fluctuations In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 137 |
| 1996 | A Theory of Commodity Price Fluctuations..(1996) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 137 | article | |
| 2010 | Jackknife Bias Reduction in the Presence of a Unit Root In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Time-Varying Parameters in Continuous and Discrete Time In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | A Jackknife Correction to a Test for Cointegration Rank In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2006 | IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS In: International Economic Review. [Full Text][Citation analysis] | article | 1 |
| 2004 | Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals.(2004) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2004 | Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals.(2004) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 1992 | Estimation of a Continuous-Time Dynamic Demand System. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2012 | Jackknife bias reduction in autoregressive models with a unit root In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 1998 | The impact of real wage and mortality fluctuations on fertility and nuptiality in precensus England In: Journal of Population Economics. [Full Text][Citation analysis] | article | 7 |
| 1996 | Speed of adjustment and estimation of the partial adjustment model In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1997 | Forecasting with the almost ideal demand system: evidence from some alternative dynamic specifications In: Applied Economics. [Full Text][Citation analysis] | article | 20 |
| 2004 | Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems.(2004) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper |
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